Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1169
Annualized Std Dev 0.2188
Annualized Sharpe (Rf=0%) 0.5345

Row

Daily Return Statistics

Close
Observations 3750.0000
NAs 1.0000
Minimum -0.1181
Quartile 1 -0.0052
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0074
Maximum 0.1244
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0138
Skewness -0.3259
Kurtosis 7.6659

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0093
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5817
Historical VaR (95%) -0.0223
Historical ES (95%) -0.0337
Modified VaR (95%) -0.0213
Modified ES (95%) -0.0395
From Trough To Depth Length To Trough Recovery
2007-10-15 2008-11-20 2011-01-11 -0.5817 817 280 537
2020-02-20 2020-03-20 2020-06-05 -0.3080 75 22 53
2011-05-13 2011-10-03 2012-03-02 -0.2113 203 99 104
2018-08-30 2018-12-24 2019-03-21 -0.2036 139 80 59
2015-06-23 2016-02-09 2016-08-23 -0.1937 296 160 136

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA -0.9 1.9 -0.2 -1.4 0.5 -0.4 -2.7 -2 -0.3 -5.3
2007 -0.1 -0.9 0 0.1 0.5 -0.4 0.5 1.3 1.3 -1.6 0.2 -0.8 0.1
2008 2.5 -3 4.5 2.8 0.5 0.3 -1.6 -1.5 -2 0.9 -3.6 2.2 1.6
2009 -3.3 -0.1 0 0.8 3.4 0.9 0.1 -1.8 -3 -2.2 1.9 -1 -4.5
2010 1.4 1.8 0.2 -2.1 -2.5 0 0.7 3.2 -0.2 -0.2 2.4 -0.5 4.1
2011 2.2 -1.5 0.4 -0.4 -2.1 1.5 -0.8 -1.1 -2.7 -2.6 0.4 -0.4 -7
2012 1.5 0.8 0.1 0.3 -2.4 3.1 -0.4 0.7 -0.1 2.3 0.2 1.8 7.9
2013 1.3 0.6 -0.7 -0.5 -1 0.9 1.3 -0.5 0.9 0.1 0.2 0.4 3.1
2014 -0.8 -0.3 1.9 0.4 -0.2 1.1 -0.2 0.3 -2 1.5 -1 -0.8 0
2015 -1.4 0 -0.6 1.4 0.3 0.6 -0.1 -2.8 0 0.2 1 -1.1 -2.7
2016 0.9 2.8 0.8 -1.5 0.2 0.7 0.2 0.2 0.9 -0.8 -2 -0.8 1.5
2017 0.1 1.1 -0.3 0.4 0.9 0.3 0.1 0.3 0.7 -0.4 -0.4 -0.6 2.1
2018 -0.5 -1.4 1.4 0.4 1.2 0.6 -0.5 0.2 -0.1 2.2 0.7 0.7 4.9
2019 0.6 0.6 1.6 -0.8 -1.3 1.5 -0.9 -0.3 -1 1.1 -0.5 0.2 0.9
2020 -2 -0.4 -4.4 -3 0.3 0.4 0.2 1.1 1.4 -1.8 0.8 0.3 -7
2021 2.2 2.6 0.7 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-04-25  19.6 SPY    130. -0.0041  -0.0025   0.00120   0.0302    0.121    0.427   0.0514 GLD    62.8  0.0183   0.015 
2 2006-04-26  19.7 SPY    130.  0.0002  -0.0042   0.00290   0.0295    0.132    0.445   0.0378 GLD    63.6  0.0139  -0.0016
3 2006-04-27  19.7 SPY    131.  0.00480 -0.0008   0.014     0.0288    0.133    0.428   0.0524 GLD    63.0 -0.0108   0.0328
4 2006-04-28  19.7 SPY    131.  0.0034   0.00240  0.0111    0.0228    0.151    0.432   0.0755 GLD    65.1  0.0338   0.0299
5 2006-05-01  19.5 SPY    130. -0.0081  -0.0039   0.0046    0.0153    0.127    0.419   0.0725 GLD    65.2  0.0011   0.0569
6 2006-05-02  19.6 SPY    131.  0.0075   0.0077   0.0119    0.0304    0.129    0.430   0.0667 GLD    66.6  0.0213   0.0601
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart